Hi, I'm located in NY and did a short term business contract with a person in Canads and never got paid on the investment. Which state do I file Suit?

Contractual choices of law clauses are generally enforceable in New York, even if neither party resides in New York, let alone when one of them does.  You can file suit in New York provided that  the other party has sufficient contacts with New York so that it can exercise jurisdiction over him/her.  Depending on what type of contract it was, it is likely that the contract itself is a sufficient contact with New York to allow you to sue for its breach in New York.